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Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications
Part of
Charles Bordenave, Giovanni Luca Torrisi
Journal:

Advances in Applied Probability / Volume 40 / Issue 2 / June 2008

Published online by Cambridge University Press:

01 July 2016, pp. 293-320

Print publication:

June 2008
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We extend a result due to Zazanis (1992) on the analyticity of the expectation of suitable functionals of homogeneous Poisson processes with respect to the intensity of the process. As our main result, we provide Monte Carlo estimators for the derivatives. We apply our results to stochastic models which are of interest in stochastic geometry and insurance.

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Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications